I am busy working on a getting started guide for advanced quantitative finance (for alpha design) and have been searching for the seminal books/literature for the field.
So far I have the following list but I feel as if I must be missing a few texts:
- Active Portfolio Management
- Quantitative Equity Portfolio Management
- Expected Returns by Antti Ilmanen
- Advances in Financial Machine Learning
- Options, Futures, and Other Derivatives
- Online Portfolio Selection
- AQR's 20 for Twenty
Are there any other great texts that we should add? I am open to the idea of academic papers as well.
2 Examples of knock out good papers (imo) are: